Optimal Investment-Reinsurance Policy with Stochastic Interest and Inflation Rates

The aim of this paper is to study a classic problem in actuarial mathematics, namely, an optimal reinsurance-investment problem, in the presence of stochastic interest and inflation rates. This is of relevance since insurers make investment and risk management decisions over a relatively long horizo...

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Bibliographic Details
Main Authors: Xin Zhang, Xiaoxiao Zheng
Format: Article
Language:English
Published: Hindawi Limited 2019-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2019/5176172